In this paper, we present the practical application of an Unscented Kalman Filter (UKF) for an Indoor Mobile Localization System using ultrasonic sensors. It is true that many kinds of localization techniques have been researched for several years in order to contribute to the realization of a ubiquitous system; particularly, such a ubiquitous system needs a high degree of accuracy to be practi...

The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed income applications. We investigate if the unscented Kalman filter should be used to capture nonlinearities, and compare the performance of the Kalman filter to that of the particle filter. We analyze the cross section of swap rates, which are mildly nonlinear in th...

This paper develops an unscented grid-based filter and a smoother for accurate nonlinear modeling and analysis of time series. The filter uses unscented deterministic sampling during both the time and measurement updating phases, to approximate directly the distributions of the latent state variable. A complementary grid smoother is also made to enable computing of the likelihood. This helps us...

Rapidly increasing growth and demand in CNS/ATM, the advanced scheme for air traffic management, ADS-B system which is based on digital communication is being implemented in the field of surveillance. ADS-B concept appears to be an economically viable solution to obtain accurate aircraft position information. ADS-B system has better performance than the traditional radar and ADS-B system replac...

This paper presents filtering solutions for estimating the relative trajectory of a spin stabilized satellite. The SPHERES satellites have been selected as the hardware testbed for implementing a Multiplicative Extended Kalman Filter and novel Multiplicative Unscented Kalman Filter. Relative state measurements are provided by imaging fiducial markers on the target. The results from this analysi...

In order to improve the performance of target tracking and solve the defects of unscented Kalman filter, a target tracking algorithm based on improved unscented Kalman filter is proposed in this paper. Firstly, the fading factor is introduced into the filter based on strong tracking filter to avoid the filter divergence, and then wavelet transform is used to estimate the statistical characteris...

We present two new methods for inference in Gaussian process (GP) models with general nonlinear likelihoods. Inference is based on a variational framework where a Gaussian posterior is assumed and the likelihood is linearized about the variational posterior mean using either a Taylor series expansion or statistical linearization. We show that the parameter updates obtained by these algorithms a...